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Initial Projects

Initial Projects. Kyu Won Choi Econ 201FS February 2, 2011. Data. CVX (Chevron Corporation) October 10, 2001 – December 30, 2010 2301 days IBM (International Business Machines) April 9, 1997 – December 30, 2010 3423 days

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Initial Projects

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  1. Initial Projects Kyu Won Choi Econ 201FS February 2, 2011

  2. Data • CVX (Chevron Corporation) • October 10, 2001 – December 30, 2010 • 2301 days • IBM (International Business Machines) • April 9, 1997 – December 30, 2010 • 3423 days • Every minute price data from 9:35 AM to 3:59 PM for each trading day (385number of pricesper trading day)

  3. CVX Not Adjusted Price

  4. CVX Not Adjusted Returns

  5. Data Errors / Outliers • Stock Split: • Sep 13, 2004 [2:1] (Yahoo Finance) • The stock price is adjusted backwards • 2008 Financial Crisis

  6. CVX Adjusted Price

  7. CVX Adjusted Returns

  8. Annualized Realized Variance (5-min returns)

  9. Annualized Bipower Variance

  10. Contribution of Jumps

  11. Annualized Realized Volatility Signature

  12. Annualized Bipower Volatility Signature

  13. Additional Variation Measures of Integrated Variance • The sub-sampled 5-min realized variance • The median variance, MedVar • The minimum variance, MinVar • The realized variance using pre-averaging • The truncated or equivalently the threshold variation (TV)

  14. Sum-sampled 5-min Realized Variance

  15. The Median Variance (MedVar)

  16. The Minimum Variance (MinVar)

  17. Realized Variance usingpre-averaging

  18. Truncated or Threshold Variation (TV)

  19. IBM Stock Price

  20. IBM Returns

  21. Data Errors / Outliers • Stock splits [2:1] • 5/28/1997 • 5/27/1999 • High Prices/Returns around July 1999 (about $139.00) • After the first quarter profit report release, price went up • Low Prices/Returns around Nov, 1999 (about $90.00) • Warning about the Year 2000 computer bug • 2008 Financial Crisis

  22. Annualized Realized Variance (5-min returns)

  23. Annualized Bipower Variance

  24. Contribution of Jumps

  25. Annualized Realized Volatility Signature

  26. Annualized Bipower Volatility Signature

  27. Sum-sampled 5-min Realized Variance

  28. The Median Variance (MedVar)

  29. The Minimum Variance (MinVar)

  30. Realized Variance usingpre-averaging

  31. Truncated or Threshold Variation (TV)

  32. Questions & Comments • First Experience with MATLAB • Getting used to it • Papers to read and study Thank you for the help!

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